𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Market volatility modeling for short time window

✍ Scribed by Paulo S.G. de Mattos Neto; David A. Silva; Tiago A.E. Ferreira; George D.C. Cavalcanti


Book ID
113849047
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
914 KB
Volume
390
Category
Article
ISSN
0378-4371

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Recursive estimation for continuous time
✍ H. Gong; A. Thavaneswaran πŸ“‚ Article πŸ“… 2009 πŸ› Elsevier Science 🌐 English βš– 401 KB

Volatility plays an important role in portfolio management and option pricing. Recently, there has been a growing interest in modeling volatility of the observed process by nonlinear stochastic process [S.J. Taylor, Asset Price Dynamics, Volatility, and Prediction, Princeton University Press, 2005;